OXY Options History — December 2013

In December 2013, OXY traded between $86.57 and $91.27. ATM implied volatility averaged 21.6%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 6.1% (HV 20d: 15.5%). Max pain ranged from $91.17 to $93.57. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2013-12-05: Highest Volume — 27,955 contracts
  • 2013-12-30: Largest IV spike — 8.9% change
  • 2013-12-03: Highest IV Rank — 28.5%
  • 2013-12-06: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.28$86.57$91.27$90.94$91.27
Max Pain$93.34$91.17$93.57$93.57$91.17
ATM IV21.6%19.0%23.5%22.7%23.4%
Expected Move7.1%6.8%7.4%7.2%6.8%
HV 20d15.5%12.8%18.4%18.4%12.9%
HV 60d16.2%15.8%16.6%16.4%16.0%
IV Rank22.2%13.2%28.5%25.9%28.3%
IV Percentile49.9%16.3%71.0%64.3%71.0%
Term Structure0.8%-2.2%2.8%0.4%-2.2%
VWIV25.8%24.0%31.1%25.7%24.6%
Skew 25d0.8%0.1%1.8%0.8%1.8%
Skew 10d1.4%-0.6%3.7%1.2%3.7%
Call IV 25d22.0%18.8%24.0%23.3%23.3%
Put IV 25d22.9%20.1%25.1%24.2%25.1%
Bid-Ask Spread %8.875.5213.545.529.98
Gamma HHI0.160.120.230.200.19
Net GEX33.9M15.0M63.5M34.5M60.1M
Net DEX-244.8M-507.6M21.0M-351.7M-507.6M
Net VEX-3.6M-4.0M-3.3M-4.0M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.161.140.730.24
Total Volume11,670.6194,72327,95513,5439,800
Total OI372,919.81349,148393,753362,143363,233

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$90.94$93.5722.7%7.2%18.4%25.9%25.7%0.8%0.4%34.5M-351.7M-4.0M0.735.52N/AN/A7,8325,711224,211137,932
2013-12-03$90.50$93.5723.5%7.2%16.5%28.5%25.7%0.8%0.4%31.8M-317.5M-3.9M0.839.30N/AN/A4,6643,885226,934139,766
2013-12-04$90.78$93.5723.1%7.3%16.3%27.2%26.7%0.8%0.2%33.3M-346.4M-3.9M0.527.47N/AN/A7,1843,729228,367141,663
2013-12-05$89.66$93.5723.4%7.4%16.7%28.0%26.6%0.7%0.9%25.1M-246.2M-3.9M0.168.75N/AN/A24,1303,825231,194143,181
2013-12-06$88.92$93.5722.1%7.4%16.4%23.9%27.7%0.6%1.0%30.7M-178.5M-3.7M1.097.01N/AN/A7,2587,875231,812145,043
2013-12-09$89.39$93.5722.2%7.3%16.4%24.0%24.4%0.2%1.0%33.4M-259.6M-3.8M0.307.76N/AN/A7,3122,194228,850142,220
2013-12-10$88.76$93.5721.0%7.3%16.2%20.1%25.8%0.1%1.7%28.2M-180.3M-3.6M1.148.05N/AN/A4,4195,027230,838143,093
2013-12-11$87.85$93.5721.3%7.2%15.9%21.1%25.2%0.3%1.4%21.0M-82.7M-3.5M0.198.72N/AN/A15,0012,911232,772144,858
2013-12-12$87.56$93.5722.3%7.3%14.7%24.3%0.0%0.5%0.6%19.0M-67.8M-3.7M0.526.77N/AN/A6,3073,256240,831145,440
2013-12-13$87.44$93.5722.5%7.3%14.4%25.0%24.7%0.8%0.5%15.0M-52.1M-3.6M0.636.95N/AN/A6,6744,219243,028146,638
2013-12-16$87.28$93.5722.7%7.3%14.3%25.7%25.0%0.9%0.9%19.6M-47.0M-3.5M0.447.03N/AN/A7,5253,320241,070143,907
2013-12-17$86.57$93.5722.1%7.3%14.4%23.9%25.8%1.0%1.2%15.6M21.0M-3.3M0.568.16N/AN/A6,2213,457243,289144,858
2013-12-18$88.54$93.5721.1%7.1%17.1%20.5%31.1%0.5%1.3%28.8M-168.7M-3.6M0.3313.54N/AN/A11,8253,887247,446145,324
2013-12-19$89.18$93.5720.8%7.1%17.4%19.3%0.0%0.5%0.1%37.3M-255.2M-3.6M0.447.94N/AN/A4,3581,938248,664143,688
2013-12-20$89.06$93.5719.8%7.1%16.2%15.7%24.7%0.9%0.1%37.7M-212.6M-3.5M0.509.62N/AN/A5,9712,979250,370143,383
2013-12-23$89.47$93.5719.1%7.1%16.0%13.3%24.0%1.2%2.2%37.3M-291.7M-3.4M0.328.23N/AN/A6,5182,060214,408134,740
2013-12-24$89.71$93.5719.0%6.9%14.9%13.2%24.9%1.2%1.8%40.3M-304.4M-3.3M0.2611.82N/AN/A3,750973217,037135,434
2013-12-26$90.24$93.5719.4%6.9%15.1%14.3%26.1%1.3%2.8%48.8M-381.1M-3.4M0.3910.25N/AN/A4,2661,655218,662135,682
2013-12-27$91.03$93.5720.6%6.9%12.8%18.7%24.2%1.0%2.1%63.5M-486.2M-3.4M0.3313.51N/AN/A11,1873,673220,080135,975
2013-12-30$90.74$91.1722.5%6.8%12.8%25.0%26.8%1.8%-1.7%51.5M-425.5M-3.3M0.289.90N/AN/A12,7493,558222,115133,280
2013-12-31$91.27$91.1723.4%6.8%12.9%28.3%24.6%1.8%-2.2%60.1M-507.6M-3.4M0.249.98N/AN/A7,8811,919227,856135,377